我国通货膨胀率及通货膨胀不确定性的持续性和记忆性检验被引量：14

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摘要运用ARFIMA-FIGARCH模型对我国1983年1月至2008年5月期间通货膨胀率的动态过程进行了检验,我们发现我国通货膨胀率水平的一阶矩和二阶矩都存在显著的长记忆性,由此表明通货膨胀率水平和通货膨胀不确定性表现出双长期记忆性行为;通过构造VAR模型检验通货膨胀率与通货膨胀不确定性之间的Granger影响关系时,结果表明通货膨胀率水平对通货膨胀不确定性存在显著的Granger影响关系。因此在制定货币政策时,应充分考虑通货膨胀率和通货膨胀不确定性的长期记忆性行为和它们之间的单向影响关系。

作者刘金全隋建利

机构地区吉林大学商学院暨数量经济研究中心

出处《吉林大学社会科学学报》 CSSCI 北大核心 2010年第1期84-93,共10页 Jilin University Journal Social Sciences Edition

基金吉林大学“985工程”和“211工程”项目国家自然科学基金项目(70971055) 教育部人文社会科学重点研究基地重大项目(08JJD790133) 教育部人文社会科学研究应急项目(2009JYJR014) 吉林大学“985工程”研究生创新基金重点项目(20081101)

关键词通货膨胀率通货膨胀不确定性 ARFIMA-FIGARCH模型 VAR模型

分类号 F224 [经济管理—国民经济] F822.5 [经济管理—财政学]

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参考文献19

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